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arXiv · 0910.4536

Harnack Inequality for Functional SDEs with Bounded Memory

A. Es-Sarhir·M-K. von Renesse·M. Scheutzow
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Abstract

We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality \cite{MR1481127}. The strong Feller property for the corresponding segment process is also obtained.

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A. Es-Sarhir, M-K. von Renesse, M. Scheutzow. 2009-10-23. Harnack Inequality for Functional SDEs with Bounded Memory. https://arxiv.org/abs/0910.4536

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